Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0114 |
| Annualized Std Dev | 0.2560 |
| Annualized Sharpe (Rf=0%) | -0.0445 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3445.0000 |
| NAs | 1.0000 |
| Minimum | -0.1176 |
| Quartile 1 | -0.0076 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0079 |
| Maximum | 0.1538 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0003 |
| Stdev | 0.0161 |
| Skewness | -0.0856 |
| Kurtosis | 8.9270 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0117 |
| Gain Deviation | 0.0113 |
| Loss Deviation | 0.0123 |
| Downside Deviation (MAR=210%) | 0.0163 |
| Downside Deviation (Rf=0%) | 0.0116 |
| Downside Deviation (0%) | 0.0116 |
| Maximum Drawdown | 0.5703 |
| Historical VaR (95%) | -0.0239 |
| Historical ES (95%) | -0.0388 |
| Modified VaR (95%) | -0.0239 |
| Modified ES (95%) | -0.0361 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-05-02 | 2016-01-20 | NA | -0.5703 | 2489 | 1188 | NA |
| 2008-05-20 | 2009-03-02 | 2010-10-13 | -0.5453 | 606 | 197 | 409 |
| 2007-07-24 | 2007-08-16 | 2007-09-27 | -0.1636 | 47 | 18 | 29 |
| 2007-11-01 | 2008-02-06 | 2008-05-16 | -0.1613 | 136 | 66 | 70 |
| 2011-01-04 | 2011-03-16 | 2011-03-30 | -0.0669 | 60 | 50 | 10 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | -2 | 3.3 | 2.9 | -3.4 | 0.5 | -0.8 | 0.3 |
| 2008 | 2 | -2.4 | 2.8 | 1.2 | -0.3 | -2.1 | -0.3 | -0.9 | -0.6 | 2.6 | -5.8 | -0.2 | -4.3 |
| 2009 | -2 | -0.6 | 3.9 | 1 | 2.9 | 1.6 | 0.7 | -1.7 | -2.1 | -4.6 | 1.6 | 0.4 | 0.9 |
| 2010 | 2.1 | 1.7 | 2.2 | -1.3 | -2.3 | 0.7 | 0.9 | 2.4 | 1.3 | 0.7 | 2.4 | 0.7 | 12.1 |
| 2011 | 1.9 | -1.1 | 1.4 | 0.9 | -1.1 | 1.1 | 0.4 | -0.5 | -3.1 | -1.7 | -0.5 | -0.2 | -2.7 |
| 2012 | 2 | 1.5 | 0.9 | 0.5 | -2.3 | 3.8 | 0.2 | 1 | 0.9 | 1.6 | 0.1 | 1.7 | 12.4 |
| 2013 | 0.8 | 0.4 | -0.8 | -1.3 | -2 | 0.2 | 1.2 | 0.6 | 1.8 | -0.3 | 0.6 | 0.6 | 1.9 |
| 2014 | 0.1 | -0.7 | 0.5 | 0.1 | -1.4 | 0.6 | 0.5 | -0.4 | -1.5 | 0 | -1.3 | -0.8 | -4.2 |
| 2015 | -2.2 | 0.1 | 1.7 | 0.5 | -0.8 | -0.7 | 0.6 | -3.6 | -0.2 | 0.3 | 0.6 | -0.1 | -3.8 |
| 2016 | -1.6 | 3.3 | 0 | -0.4 | 0 | 0.8 | -0.5 | 0.4 | 0.5 | -0.7 | -0.6 | -0.3 | 0.6 |
| 2017 | 0.1 | 1.2 | -0.8 | 0.3 | 0.7 | 1.1 | 0.2 | 0.7 | 1 | 0.2 | -0.3 | 0.9 | 5.4 |
| 2018 | -0.4 | -0.2 | 1.6 | -0.5 | 1.2 | 1.6 | -0.7 | 1.2 | 0.5 | 2.6 | -0.4 | -0.1 | 6.4 |
| 2019 | -0.8 | 0.2 | 1.4 | -1 | 0.3 | 1 | -2.2 | 0.7 | -0.7 | 1.9 | -1.4 | 0.5 | 0.1 |
| 2020 | -2.4 | -1.1 | -3.2 | -3.2 | 2 | 1.4 | -0.9 | 0.6 | 0.6 | -0.7 | 2.2 | -0.1 | -5.1 |
| 2021 | 1.5 | 1.8 | 0.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-07-13 51.9 SPY 155. 0.003 0.0122 0.0195 0.0656 0.228 0.384 0.667 GLD 66.0 0.0002 0.0165
2 2007-07-16 51.6 SPY 155. -0.0001 0.012 0.0129 0.0554 0.249 0.388 0.686 GLD 65.8 -0.0032 0.0067
3 2007-07-17 51.6 SPY 155. -0.0005 0.0254 0.011 0.0521 0.253 0.397 0.676 GLD 65.8 -0.0011 0.0021
4 2007-07-18 51.4 SPY 154. -0.0018 0.0163 0.0103 0.0489 0.252 0.395 0.706 GLD 66.6 0.0132 0.018
5 2007-07-19 51.6 SPY 155. 0.0039 0.0044 0.0117 0.0533 0.251 0.407 0.709 GLD 67.0 0.0059 0.015
6 2007-07-20 51.3 SPY 154. -0.0101 -0.0087 0.0156 0.0328 0.221 0.375 0.748 GLD 67.6 0.0085 0.0235
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
